On the Backward Stochastic Riccati Equation in Infinite Dimensions
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/S0363012903425507
Reference14 articles.
1. Linear Quadratic Optimal Stochastic Control with Random Coefficients
2. Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
3. Adapted solution of a backward semilinear stochastic evolution equation
4. Backward stochastic differential equations and partial differential equations with quadratic growth
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